Hi,
Just make sure that the version you downloaded is not corrupted or pirated.
It might be corrupted as you might have downloaded it from UNKNOWN or UNTRUSTED source.
So in order to download the correct and latest version then just go towww.videolan.org/vlc/download-windows.html.
Just download and install it.
Hope this surely helps....

Dear Friend!!
It might be possible that the setup application you are using could be corrupt.
But for once, you should try to install DirectX 9.0 or above and again run the setup.DirectX is one of the requirements for VLC Player which is not Pre installed in many machines.
Else download new setup from www.download.cnet.com